The error obtains because the file "libgfortran.2.dylib" is missing; therefore take the following steps:

(1) in the terminal check for this file "libgfortran.2.dylib":

ls -l /usr/local/lib/libgfortran.2.dylib

(2) if it does not exist download and install FINK COMMANDER:
http://www.finkproject.org/download/

(3) open Fink commander and in the search field type gcc42
2 files appear install the second one, which is called gcc42-shlibs. Highlight the gcc42-shlibs fie and click the "install packages in source" button in upper lefthand corner that has a little green plus sign (second icon to the left).

(4) back in the terminal enter the following command:
sudo ln -s /sw/lib/gcc4.2/lib/libgfortran.2.dylib /usr/local/lib/libgfortran.2.dylib

(5) repeat the check command in step (1) above

(6) if the file exists, the "library(OpenMx)" command should now work properly